Search Results - "unit root tests"

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  1. 1
    Robust tests for a linear trend with an application to equity indices

    Robust tests for a linear trend with an application to equity indices by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert

    Published 2014
    Subjects: “…Linear trend; Unit root tests; Strong serial correlation…”
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  2. 2
    The impact of the initial condition on covariate augmented unit root tests

    The impact of the initial condition on covariate augmented unit root tests by Aristidou, Chrystalleni, Harvey, David I., Leybourne, Stephen J.

    Published 2016
    Subjects: “…Unit root tests; stationary covariates; initial condition uncertainty; asymptotic power…”
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  3. 3
    Recursive right-tailed unit root tests for an explosive asset price bubble

    Recursive right-tailed unit root tests for an explosive asset price bubble by Harvey, David I., Leybourne, Stephen J., Sollis, Robert

    Published 2015
    Subjects: “…Rational bubble; Explosive autoregression; Unit root testing…”
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  4. 4
    Testing the Efficiency of the Foreign Exchange Spot Market in Iran

    Testing the Efficiency of the Foreign Exchange Spot Market in Iran by Borhan-Azad, Lida

    Published 2006
    Subjects: Get full text
  5. 5
    On infimum Dickey–Fuller unit root tests allowing for a trend break under the null

    On infimum Dickey–Fuller unit root tests allowing for a trend break under the null by Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert

    Published 2014
    Subjects: “…Unit root test; Trend break; Minimum Dickey–Fuller test…”
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  6. 6
    Asymptotic behaviour of tests for a unit root against an explosive alternative

    Asymptotic behaviour of tests for a unit root against an explosive alternative by Harvey, David I., Leybourne, Stephen J.

    Published 2014
    Subjects: “…Unit root testing; Explosive autoregression; Asymptotic power; Initial condition…”
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  7. 7
    Does Purchasing Power Parity hold? New Evidence from Wild-bootstrapped Nonlinear Unit Root Tests in the Presence of Heteroskedasticity

    Does Purchasing Power Parity hold? New Evidence from Wild-bootstrapped Nonlinear Unit Root Tests in the Presence of Heteroskedasticity by Su, J., Cheung, Adrian, Roca, E.

    Published 2014
    Subjects: Get full text
  8. 8
    Tests for an end-of-sample bubble in financial time series

    Tests for an end-of-sample bubble in financial time series by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, Robert

    Published 2017
    Subjects: “…Rational bubble; Explosive autoregression; Right-tailed unit root testing: Sub-sampling…”
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  9. 9
    Model specification in panel data unit root tests with an unknown break

    Model specification in panel data unit root tests with an unknown break by Chan, Felix, Pauwels, L.

    Published 2011
    Subjects: Get full text
  10. 10
    Tests for explosive financial bubbles in the presence of non-stationary volatility

    Tests for explosive financial bubbles in the presence of non-stationary volatility by Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert

    Published 2015
    Subjects: “…Rational bubble; Explosive autoregression; Non-stationary volatility; Right-tailed unit root testing…”
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  11. 11
    Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics

    Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics by Cavaliere, Giuseppe, Harvey, David I., Leybourne, Stephen J., Robert Taylor, A.M.

    Published 2015
    Subjects: “…Infimum unit root test; multiple trend break; non-stationary volatility; wild bootstrap…”
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  12. 12
    Unit root testing under a local break in trend using partial information on the break date*

    Unit root testing under a local break in trend using partial information on the break date* by Harvey, David I., Leybourne, Stephen J., Robert Taylor, A.M.

    Published 2014
    Subjects: “…Unit root test; Breaks in trend; Minimum Dickey-Fuller test; Local GLS detrending; Union of rejections…”
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  13. 13
    Testing explosive bubbles with time-varying volatility

    Testing explosive bubbles with time-varying volatility by Harvey, David I., Leybourne, Stephen J., Zu, Yang

    Published 2018
    Subjects: “…Rational bubble; Explosive autoregression; Time-varying volatility; Weighted least squares; Right-tailed unit root testing…”
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  14. 14
    Lag selection of the augmented Kapetanios-Shin-Snell nonlinear unit root test

    Lag selection of the augmented Kapetanios-Shin-Snell nonlinear unit root test by Su, Jen-je, Cheung, Adrian, Roca, Eduardo

    Published 2013
    Subjects: Get full text
  15. 15
    Testing the Efficiency of Amman Stock Exchange

    Testing the Efficiency of Amman Stock Exchange by Bilbaisi, Eman

    Published 2007
    Subjects: Get full text

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